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Submitted to the Annals of Applied Probability ON THE OPTIMAL DIVIDEND PROBLEM FOR A
 

Summary: Submitted to the Annals of Applied Probability
ON THE OPTIMAL DIVIDEND PROBLEM FOR A
SPECTRALLY NEGATIVE L´EVY PROCESS
By Florin Avram
Universit´e de Pau
By Zbigniew Palmowski
University of Wroclaw
and
By Martijn R. Pistorius
King's College London
In this paper we consider the optimal dividend problem for an
insurance company whose risk process evolves as a spectrally nega-
tive L´evy process in the absence of dividend payments. The classical
dividend problem for an insurance company consists in finding a div-
idend payment policy that maximizes the total expected discounted
dividends. Related is the problem where we impose the restriction
that ruin be prevented: the beneficiaries of the dividends must then
keep the insurance company solvent by bail-out loans. Drawing on
the fluctuation theory of spectrally negative L´evy processes we give
an explicit analytical description of the optimal strategy in the set

  

Source: Avram, Florin - Laboratoire de Mathématiques Appliquées, Université de Pau et des Pays de l'Adour

 

Collections: Mathematics